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Academic audit

Failedequity XS low-beta

Betting Against Beta Factor in Stocks

O crivo de três portões · genuíno só se passar pelos três e sobreviver à refutação adversarial
Gate 1
Sem viés de sobrevivência
free
painel limpo
Eliminado aqui
Gate 2
Placebo ≥ P95
P0
superou ~0 de 200 cestas
Gate 3
Líquido atento a custos
RF -0.97
líquido negativo após custos
Falhou
Pior perna de 12 meses (RF)-0.98
piso −1.000
Toda estratégia aqui — incluindo vencedoras — perde em seus piores 12 meses. Profundidade é contexto honesto, não o veredito.
Rejeitado no portão de sorte — seu líquido não ranqueou melhor que cestas aleatórias (abaixo da linha de habilidade P95).

The betting-against-beta effect argues that low-beta stocks earn higher risk-adjusted returns than high-beta stocks, so the factor goes long low-beta names and short high-beta names to isolate that spread.

What we found

Built naively as a decile long/short (long low-beta, short high-beta), the factor failed our test. Its placebo percentile was 0, meaning it showed no rank skill above randomly formed baskets, and its worst-year risk factor was deeply negative. The reason is structural: this construction is net short market beta, so it gives up the equity premium in every bull year and bleeds over the window. In this simple, unhedged form the famous factor is not investable.

How we tested it
2005–2026 test windowmodelled liquidity-aware costssurvivorship free
  • Survivorship-free 1077-name US common-stock panel, 2005-2026. Realistic modelled costs.
  • Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)
Source: Frazzini & Pedersen (2014), "Betting Against Beta", J. Financial Economics
Read the paper ↗
← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.